Detecting multiple breaks in long memory: The case of US inflation
AbstractMultiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary policy. We determine not only the location and significance of breaks in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the long-memory parameter) is found to have taken place in 1973, while a second break in 1980 is not significant. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2011,26.
Date of creation: 2011
Date of revision:
Fractional integration; break in persistence; unknown break point; inflation dynamics;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-CBA-2011-12-19 (Central Banking)
- NEP-ECM-2011-12-19 (Econometrics)
- NEP-ETS-2011-12-19 (Econometric Time Series)
- NEP-MAC-2011-12-19 (Macroeconomics)
- NEP-MON-2011-12-19 (Monetary Economics)
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